Hi Marcos,
I was trying all of the options in the firewall integration chapter but unfortunately none was working.
After that in Safe Mode I removed ESET with the help of the uninstall tool provided on the site and all of a sudden everything was working fine with internet access being quick as usual (~10 sec.)
Then I reinstalled the newest kit of ESET from the site and on the setup left all the options by default but I only ticked the "Enable detection of potentially unsafe applications" in the Antivirus and anti-spyware chapter and everything is working back to normal, until now (keep the finger cross) ...
Anyway thanx a lot and keep the good work!